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Spring 2016

Problem Set 1

Author: Xiaobin Gao

1. Problem 1

(a) Sample space = {HH, HT, T H, T T }.

(b) Event space

F = 2 =

n

, {HH}, {HT }, {T H}, {T T }

{HH, HT }, {HH, T H}, {HH, T T }, {HT, T H}, {HT, T T }, {T H, T T }

{HH, HT, T H}, {HH, HT, T T }, {HH, T H, T T }, {HT, T H, T T }

o

{HH, HT, T H, T T }

P () = 0,

P ({HH}) = P (first toss is head) P (second toss is head) =

P ({HH, HT }) = P ({HH}) + P ({HT }) =

P ({HH, HT, T H}) = 1 P ({T T }) = 1

3

4

34 , etc.

9

3

16 + 16 , etc.

1

16 , etc.

P ({HH, HT, T H, T T }) = 1

Note that

P (first toss is head) = P (first toss is head|fair coin is picked)

1

2

=

1

2

1

2

+1

1

2

1

2

3

4

(d) Since the outcomes of the first and the second tosses are independent,

P (first toss is head|second toss is tail) = P (first toss is head) =

3

4

2. Problem 2

(a) We use a four digit number, call it abcd, to represent case that packets 1, 2, 3, 4 are

routed to ports a, b, c, d, respectively, where a, b, c, d {1, 2, . . . , 8}. Then the sample

space

n

o

= abcd|a, b, c, d {1, 2, . . . , 8}

The event space is the power set of sample space, i.e., F = 2 . For any event A F,

P (A) =

where card(A) is the cardinality of A.

1

card(A)

84

(b)

1

,

84

4

,

84

6

,

84

12

,

84

24

,

84

P (X1 = 4) =

P (X1 = 3, X2 = 1) =

P (X1 = 2, X2 = 2) =

P (X1 = 2, X2 = 1, X3 = 1) =

P (X1 = 1, X2 = 1, X3 = 1, X4 = 1) =

etc.

etc.

etc.

etc.

etc.

(c) Define Xip , i {1, 2, . . . , 8}, p {1, 2, 3, 4} be binary random variables such that

Xip =

0, otherwise

Then Xi =

P4

p=1 Xip ,

P

P4

4

X

Cov(X1 , X2 ) = Cov

X

,

q=1 2q

p=1 1p

P4 P4

=

p=1

q=1 Cov(X1p , X2q )

When p 6= q, X1p and X2q are independent. Hence Cov(X1p , X2q ) = 0. When p = q,

X1p and X2p can not be 1 simultaneously, i.e., X1p X2p = 0. Hence, Cov(X1p , X2p ) =

1

E[X1p X2p ] E[X1p ] E[X2p ] = 0 81 18 = 64

. Then,

Cov(X1 , X2 ) =

1

16

(d)

P (Xi 1 for all i) =

8765

105

=

4

8

256

(e)

P (Xi 2 for all i) =

8

4

4! +

8

1

7

2

84

4

2

2

1

8

2

4

2

=

483

512

3. Problem 3

(a) All bytes are equally probable is equivalent to All bits have Bern( 12 ) distribution,

mutually independent. Hence,

P (A) =

1 1

1

=

2 2

4

Initialization: P (b1 is odd) = P (b1 is even) =

1

2

P

P ( ki=1 bi is odd)

Pk1

P

P

= P ( ki=1 bi | k1

i=1 bi is odd) P ( i=1 bi is odd)

Pk1

P

P

+P ( ki=1 bi | k1

i=1 bi is even) P ( i=1 bi is even)

Pk1

P

= P (bk is even) P ( k1

i=1 bi is odd) + P (bk is odd) P ( i=1 bi is even)

=

1

2

1

2

1

2

1

2

1

2

Hence, P (B) = 12 .

(c)

P (B|A) = P

8

X

!

bi is odd|b1 = b2 = 1

=P

i=1

8

X

!

bi is odd

i=3

1

2.

(d)

P (A|B) =

1

P (B|A)P (A)

=

P (B)

4

4. Problem 4

(a) P (X > 3) = 1 P (X = 3) = 0.8.

P (X > 8, X > 5)

P (X > 8)

=

= 0 6= P (X > 3).

P (X > 5)

P (X > 5)

Hence, the distribution of X does not have memoryless property.

(b)

= P (the first three shots for are missed) = (1 p)3

P (Y > 8|X > 5) =

P (Y > 8, Y > 5)

P (Y > 8)

(1 p)8

=

=

= (1 p)3 = P (Y > 3)

P (Y > 5)

P (Y > 5)

(1 p)5

5. Problem 5

(a) E[W 2 ] = (E[W ])2 + Var(W ) =

2

.

2

1

6

+

3 2

where the first equality dues to the independence of U, V, W and the linearity of expectation.

(c)

Cov(2 + U, U V ) = Cov(2, U V ) + Cov(U, U V )

= 0 + E[U 2 V ] E[U ] E[U V ]

= E[U 2 ] E[V ] E[U ] E[U ] E[V ]

=

1

3

6. Problem 6

(a) The cdf of X, denoted by FX (x), is given as

0,

0.5

FX (x) =

2x

x<0

0x<1

1x<2

x2

(b) The pdf of X, denoted by fX (x), can be expressed by

fX (x) =

where

1

1

1

+ (x)

2 {1<x<2} 2

2

1

E[X] = 0 +

2

1

E[X ] = 0 +

2

x

1

1

3

dx =

2

4

(c)

2

Hence, Var(X) =

E[X 2 ]

E[X]2

x2

1

7

dx =

2

6

29

48 .

7. Problem 7

(a) X1 has Bernoulli distribution with parameter 61 . Hence, E[X1 ] = 16 , Var(X1 ) =

5

36 .

(b)

"

E[X] = E

n

X

#

Xi =

i=1

Var(X) = Cov(X, X) =

n

X

E[Xi ] =

i=1

n X

n

X

n

6

Cov(Xi , Xj )

i=1 j=1

5

i = j, Cov(Xi , Xj ) = Var(Xi ) = 36

. Hence,

Var(X) =

5n

36

(c) When i 6= j, Xi and Yj are independent. Hence, Cov(Xi , Yj ) = 0. When i = j,

1

1

= 36

. (Note that Xi and Yi can not be

Cov(Xi , Yj ) = E[Xi Yi ] E[Xi ] E[Yi ] = 0 36

1 simultaneously, i.e. Xi Yi = 0)

(d) Cov(X, Y ) =

n

36

Cov(X, Y )

n

1

p

Cov(X

,

Y

)

=

=

=

i

j

XY

j=1

36

5n = 5 .

Var(X)Var(Y )

36

Pn Pn

i=1

(e) Let Zi , Oi , Pi , Qi be binary random variables, where 1 means 3, 4, 5, 6 shows on the i-th

roll, respectively. Define Z, O, P, Q as the sum of Zi , Oi , Pi , Qi , respectively. It is clear

that X + Y + Z + O + P + Q = n, hence

E[Y + Z + O + P + Q|X = x] = n x

By symmetry, the conditional distribution of Y given X = x is same as the conditional

distribution of Z given X = x, etc. Then,

E[Y |X = x] = E[Z|X = x] = E[O|X = x] = E[P |X = x] = E[Q|X = x]

which implies that E[Y |X = x] =

nx

5 .

8. Problem 8

(a)

P (X 1, Y 2) = FXY (1, 2) = 1 +

1 7

e e1 e6

4

(b)

1

FX (x) = lim FXY (x, y) = 1 ex 1{x0}

y

4

1 3y

1{y0}

FY (y) = lim FXY (x, y) = 1 e

x

4

(c) FXY (x, y) 6= FX (x) Fy (y). Hence, X and Y are not independent.

9. Problem 9

(a) The joint pdf of (X, Y ), denoted by fXY (x, y), is described as follows

12 ,

X2 + Y 2 a

a

fXY (x, y) =

0,

otherwise

When 0 r < a,

P (R r) = P (X 2 + Y 2 r2 ) =

Z

fXY (x, y) dxdy =

X 2 +Y 2 r2

Hence,

0,

2

r

FR (r) =

,

a2

1,

r<0

0r<a

r0

(b)

2r ,

d

2

fR (r) = FR (r) = a

dr

0,

10. Problem 10

0<r<a

otherwise

r2

a2

(a)

P

P

X1 ,X2 ,X3 (u1 , u2 , u3 ) = exp j 3k=1 kuk 3k=1 k 2 u2k

= exp ju1 u21 exp 2ju2 4u22 exp 3ju3 9u23

Since the joint characteristic function factors, X1 , X2 , X3 are mutually independent, and

the characteristic function of X2 is given by

X2 (u2 ) = exp 2ju2 4u22

which is the characteristic function of Gaussian distribution N (2, 8).

(b) By part (a), E[X2 ] = 2, Var(X2 ) = 8.

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